Related papers: On a switching control problem with c\`adl\`ag cos…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular…
This paper considers the optimal control of time varying continuous time Markov chains whose transition rates are themselves Markov processes. In one set of problems the solution of an ordinary differential equation is shown to determine…
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…
We study linear-quadratic stochastic optimal control problems with bilinear state dependence for which the underlying stochastic differential equation (SDE) consists of slow and fast degrees of freedom. We show that, in the same way in…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
Selected results for the stability and optimal control of abstract switched systems in Banach and Hilbert space are reviewed. The dynamics are typically given in a piecewise sense by a family of nonlinearly perturbed evolutions of strongly…
The paper presents a novel method for designing an optimal controller for discrete-time switched linear systems. The problem is formulated as one of computing the discrete mode sequence and the continuous input sequence that jointly…
We study the reduction by symmetry for optimality conditions in optimal control problems of left-invariant affine multi-agent control systems, with partial symmetry breaking cost functions for continuous-time and discrete-time systems. We…
An isoperimetric optimal control problem with non-convex cost is considered for a class of nonlinear control systems with periodic boundary conditions. This problem arises in chemical engineering as the maximization of the product of…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…
A class of optimal control problems of hybrid nature governed by semilinear parabolic equations is considered. These problems involve the optimization of switching times at which the dynamics, the integral cost, and the bounds on the…
We investigate symmetry reduction of optimal control problems for left-invariant control systems on Lie groups, with partial symmetry breaking cost functions. Our approach emphasizes the role of variational principles and considers a…
In this paper, we explore a new class of stochastic control problems characterized by specific control constraints. Specifically, the admissible controls are subject to the ratcheting constraint, meaning they must be non-decreasing over…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…